You don't have to leave your job right away. It will pay the bills while you figure out what to do next. It's depressing to be unemployed when you don't know what you're going to do next. It would be better for you to make the leap when you have a plan that you are excited about.
Ask yourself if you want to do the training program for "programming & games development" because you are passionate about game development or you think this would just be a better job. Before you make any career moves, think about what type of job would motivate you to work hard and succeed. Listen to Steve Pavlina's podcast about finding your "purpose" in life. This podcast helped me.
How old are you? Honestly, it would have been very hard for me to find my passion in my 20's. Now that I'm 30, I have 10 years of work experience, so I've learned the hard way what I love to do. Don't feel bad about skipping from job to job if it helps you learn more skills and learn more about what you want to do. The worst thing you could do is stagnate in a job for 30 years.
I hope this helps.
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